Radivojević, Tijana, Anselmi, Jonatha and Scalas, Enrico (2014) Ergodic transition in a simple model of the continuous double auction. PLoS ONE, 9 (2). e88095. ISSN 1932-6203

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Abstract

We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed. In the ergodic regime, prices are unstable and one can observe a heteroskedastic behavior in the logarithmic returns. On the contrary, non-ergodicity triggers stability of prices, even if two different regimes can be seen.

Item Type:	Article
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Subjects:	Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Related URLs:	Organisation
Depositing User:	Enrico Scalas
Date Deposited:	19 Mar 2014 14:09
Last Modified:	02 Jul 2019 21:32
URI:	http://sro.sussex.ac.uk/id/eprint/47869

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